You need constant current. As the anodised layer gets thicker the resistance rises and you need a constant current supply with lots of voltage headroom to try to keep the current up so the anodising continues. Most successful setups use a refrigerated tank, especially when doing "hard" anodising where the currents are higher and the anodised layer needs to be thicker.
I wouldn't worry about voltage regulation at all, just build a pure constant-current regulator. And the LM338's on some BIG heatsinks...
If possible could you post any pictures of your setup, pre-wash tanks, anodiser tank, dye boiler etc? Anodising is really cool.